| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 979608 | Physica A: Statistical Mechanics and its Applications | 2007 | 7 Pages |
Abstract
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, autocorrelation of price change and non-Poissonian intervals. We also clarify the causality between microscopic dealers’ dynamics and macroscopic market's empirical laws.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Kenta Yamada, Hideki Takayasu, Misako Takayasu,